Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model (Q3064081): Difference between revisions

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+https://doi.org/10.1080/03610920903268873
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+W2002383375
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+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
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+On Esscher Transforms in Discrete Finance Models
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+Valuation of vulnerable American options with correlated credit risk
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+The credit risk and pricing of OTC options
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+Option pricing when underlying stock returns are discontinuous
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+Pricing currency options under two-factor Markov-modulated stochastic volatility models
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